Actor Allusion: In Assignment 5, the radio voice that provides the first hint that there's something wrong is played by Valentine Dyall, famed radio Horror Host.
Improv: According to David Collings (Silver), Silver and Sapphire's conversation about the slot machine, in Assignment 6, was improvised when the episode was under-running. Joanna Lumley hadn't been told what he was up to; her lines were completely ad-libbed. http://www.kaldorcity.com/people/dcinterview.html
Mid-Development Genre Shift: The show was initially commissioned as a children's fantasy series, but when Hammond's scripts turned out to be significantly scarier than would be acceptable for that, the network rethought the idea instead of demanding rewrites. "Assignment One" still shows some signs of the original intended audience, with the child PoV characters, use of nursery rhymes as plot points, rather whimsical kids'-TV-host characterisation of Lead, and probably the show's most uncomplicatedly happy ending. However, "Assignment Two" clearly indicates the shift, with its even more frightening atmosphere, adult subject matter related to war and sexual relationships, and very grim ending.
Screwed by the Network: The show got badly screwed as a result of the regional ITV franchise changing hands from ATV to Central. "Assignment Six" had its transmission delayed as a result, and the issues of the TV Times for those weeks wrongly showed the transmission as a repeat (whether this was deliberate sabotage or due to a miscommunication related to the network instability remains a mystery).
Shrug of God: Hammond has said in interviews that he knows nothing about who and what Sapphire and Steel, their colleagues and their opponents really are beyond what was in the stories.
What Could Have Been: In the originally scripted ending to Assignment 6, Silver would have been sealed in the cafe with the other two. If more episodes had been commissioned, he would have resolved the cliffhanger by building a device to break the three of them out. When it became clear that there would be no Assignment 7, this element of the storyline was removed.